Chapter1

AnIntroductiontoInvestments---February,2015Chapter1

AnIntroductiontoInvestmentsWhat’sinvestmentFinancialAssetsandRealAssetsInvestmentgoalsSourceofRisksEfficientandCompetitiveMarketsAboutthissubjectAboutthetextbookAssessmentWhatisInvestment?Ifyouhave1000yuan,whatwillyoudo?10,000100,0001,000,000Differentchoices:PresentConsumption?Ameal?Acoat?Atwo-daycitysightseeing?Depositsinbankaccounts?Purchaseofstocksorbonds?Otherchoices?AntiqueRealestatesRentasmallstoreForfutureconsumptionYourpurposeforthesechoices?PresentConsumptionCurrentsatisfactionofdifferentneedsUtilitiesOtherchoicesFutureprofits/futureconsumptionWhatisanInvestment?AnInvestmentisthecurrentcommitmentofmoneyorotherresourcesintheexpectationofreapingfuturebenefits.Anindividualpurchased1000sharesofstockanticipatingthatthefutureproceedsfromtheshareswilljustifythetimethathermoneyistiedup;theriskoftheinvestment;Inflation;ExcessiveMoneyCurrentConsumptionInvestmentsStocksbondsOtherfinancialinstrumentsBuygoodsorservicesFutureconsumption漢姆·列維《投資學》

投資是利用金融資本努力創造更多的財富。威廉·F.夏普《投資學基礎》投資是為未來收入貨幣而奉獻當前的貨幣。

投資是指經濟主體將一定的資金或資源投入某項事業，以獲得未來經濟效益的經濟活動。OtherdefinitionsMacroeconomicsGNP=C+I+G+(X–M)MoneyorotherresourcesusedbybusinessestopurchasecapitalgoodsTwotypes:InvestmentonfixedassetsInvestmentoninventoryFormationofcapital;

increase

ofsocialcapitalIncreaseofplants,equipment,inventoriesandbuildingsBroaddefinitionofinvestmentFinancialInvestment：investmentinfinancialmarkets;deposits,bonds,stocks,funds,foreignexchange,insurance,futures...Investmentincommoditymarkets;realestate,treasuries,stamps,antiques...Industrialinvestment;stores,businesses...FinancialInvestmentDefinition:

Investmentonfinancialassets;Transformationofmoneyfundsintofinancialassets;Separationoffundsownersandusers;Noincreaseofsocialproductionortotalinvestment—zerosumgameFinancialAssetsDefinition:Financialinstruments;securities;DocumentsorcertificateswhichrepresentfuturereturnsorlegalclaimsonsomeassetsRealAssetsvs.FinancialAssetsRealAssets:materialwealthofaneconomy;land,building,machinesandknowledgethatcanbeusedtoproducegoodsandservices;contributedirectlytotheproductivecapacityoftheeconomylandbuildingmachineknowledgeRealassetsFinancialassets:sheetsof

paper

orcomputerentries;claims

ontheincomegeneratedbyrealassetsorincomefromthegovernment;notcontributedirectlytotheproductivecapacityoftheeconomy;ROIultimatelycomefromtheincomeproducedbytherealassets;Allocationofincomeorwealthamonginvestors;FinancialassetsPricesforbothrealassetsandfinancialassetsaredeterminedbysupplyanddemand人民幣存款利率表Table1.1BalanceSheetofUSHouseholds,2007

Assets$Billion%TotalRealassts

Realestate22,87432.9%Consumerdurables3,9665.7%Other247

0.4%

Totalrealassets27,08638.9%FinancialassetsDeposits6,6299.5%Lifeinsurance1,1741.7%Pension12,18817.5%Corporateequity5,3917.7%Equityinnoncorp.Business7,55310.9%Mutualfundshares5,1237.4%Debtsecurities3,1604.5%Other1,305

1.9%

Totalfinancialassets

42,522

61.1%

Total$69,608100.0%

Liabilities&NetWorth$Billion%Total

Mortgages10,07014.5%Consumercredit2,4133.5%Bank&otherloans2220.3%Securitycredit3100.4%Other418

0.6%

Totalliabilities$13,43119.3%

Networth

56,177

80.7%Total$69,608100.0%Table1.2Domesticnetworth

Assets$BillionNonresidentialrealestate$9,549Residentialrealestate28,265Equipmentandsoftware4,498Inventories1,759Consumerdurables3,966

Total

$48,038FinancialAssetsinChinaFinancialassetsinSNA(國民經濟核算),1993:monetarygoldandSDRscurrencyanddepositssecuritiesexceptstocksloansstocksandotherequitiesinsurancereservesAccountsReceivablesandPayables

金融資產與金融投資金融資產

金融資產是指一切代表未來收益或資產合法要求權的憑證，亦稱為金融工具或證券金融投資

金融投資主要是以金融資產為投資對象的投資。實質是資金所有者和資金使用者的分離，是資產所有權和資產經營權的分離

實物投資與金融投資

實物投資主要是以實物資產為對象，是投入資金以建造或購置固定資產和與之相聯系的流動資產而取得收益的一種實際資產化的過程。實物資產是金融資產存在和發展的基礎.

金融資產的收益最終來源于實物資產在社會再生產過程中的創造。金融投資是將貨幣資金轉化為金融資產，而不是轉化為實物資產，因而沒有引起社會再生產擴大和社會總投資的增加。只有當金融投資被直接投資者運用于直接投資時，才會使社會總投資增加和社會再生產規模擴大。FurtherThoughtsFinancialassetskeepveryclosetieswithrealassets.Thebreakupoffinancialassetsfromrealassetsmaycausebubblesinfinancialmarkets!1990sJapanesefinancialbubbles2007AmericanfinancialbubblesThebiggerbubbleoffinancialassets,themoredamagesofrealassets!ConceptCheck-1Arethefollowingassetsfinancial?

Patentsleaseobligationscustomergoodwillacollegeeducationa$5billWhatcanyouinveston?案例：假設你要結婚了，你太太想要拍婚紗照，預算資金為人民幣5000元。作為一名投資家，你有更好的投資方案嗎？一個投資家的婚紗照

——金融工具無所不在出同樣的錢，請一位現在還默默無聞的畫師來給你們畫一幅婚禮盛裝的油畫。好處：滿足太太的需要；創造了一個期權：畫師、你和你太太三個人中間，只要有一個人將來出名了，那么這幅油畫就價值連城了。

因為油畫是比照片更好的金融工具，吸收更多市場信息，承載著更多有關畫師是否出名的不確定性。OurtextfocusesonfinancialinvestmentYouneedtoknowmoreaboutthevariousfinancialproducts/assetsinthemarketsDomesticForeignOryoumayentrustyourmoneywithanprofessionalagenttoinvestTypesofFinancialAssetsThreebroadtypesoffinancialassetsA.FixedincomeB.EquityC.DerivativesA.FixedIncomeFixed-incomeordebtsecuritiespromiseeitherafixedstreamofincomeorastreamofincomethatisdeterminedaccordingtoaspecifiedformula.BondsissuedbyChinesegovernmentExample:Fixed-ratebonds:acorporatebond--afixedamountofinteresteachyear;Floating-ratebondsabond--aninterestratethatisfixedat2%abovetheratepaidonUST-bills;Fixed-incomesecuritiescomeinatremendousvarietyofmaturitiesandpaymentprovisions.short-term,highlymarketable,lower-riskydebtsecuritiesinthemoneymarket;UST-bills(Treasurybills)CDsShort-termdebtsLong-termsecuritiesinthefixed-incomecapitalmarketT-bonds(Treasurybond)bondsissuedbyfederalagencies,stateandlocalmunicipalities,andcorporationsLong-termbondsThesebondsrangefromverysafeintermsofdefaultrisktorelativelyrisky.T-bonds(leastdefaultrisk)Junkbonds(relativelyhighdefaultrisk)B.EquitiesEquityorcommonstockinafirmrepresentsanownershipshareinthecorporation.CharacteristicsEquityholdersarenotpromisedanyparticularpayment;Theyreceiveanydividendsthefirmmaypayandhaveproratedownershipintherealassetsofthefirm;Theperformanceofequityinvestmentsistieddirectlytothesuccessofthefirmanditsrealassets;riskierthaninvestmentsindebtsecurities;C.DerivativeSecuritiesDerivativesecuritiesprovidepayoffsthataredeterminedbythepricesofotherassets.Types:options;futures;swaps;Example:AcalloptiononashareofIntelstockworthless--ifIntel'ssharepriceremainsbelowathresholdor"exercise"price;valuable--ifIntel'ssharepricerisesabovethelevel;Derivativesecuritiesaresonamedbecausetheirvaluesderivefromthepricesofotherassets.Example--formercaseThevalueofthecalloptionwilldependonthepriceofIntelstock;Derivativeshavebecomeanintegralpartoftheinvestmentenvironment.Usesofderivatives:(primaryuse)tohedgerisksortransferthemtootherparties;riskmanagementroutinelytakenmultitrillion-dollarmarkettotakehighlyspeculativepositions;一家美國公司在3月以優惠利率借入1000萬加拿大元，借期3個月，公司將借入的加元在外匯市場上按即期匯率1加元=0．835美元換成835萬美元使用。公司擔心3個月后加元對美元升值，會使還款的美元成本加大，因此決定同時在期貨市場上買進加元的期貨合約，3個月后再賣出相同數量的加元期貨合約，以期保值。

日期 現匯市場 期貨市場

3月 將借入的1000萬加元換成835萬美元買進100份6月加元期貨合約按即期匯率1加元=0．835美元（每份合約10萬加元）價格：1加元=0．834美元

100份合約共834萬美元

6月 買進1000萬加元以償還借款賣出100份6月加元期貨合約按即期匯率1加元=0．838美元價格：1加元=0．8377美元共用838萬美元100份合約共837．7萬美元

交易損益 由于加元升值公司損失3萬美元 獲利3.7（837.7-834）萬美元（不考慮手續費） 結果 以期貨交易的獲利彌補現匯交易的損失，相抵后仍獲利7000美元 Otherinvestments:preciousmetals;agriculturalproducts;53IntroductiontoPortfolioConstructionIncomeiseitherspentorsaved.Savingsareinvested.Theinvestmentsconstituteaportfolio(acombinationofassetsdesignedtoserveasastoreofvalue)54IntroductiontoPortfolioConstructionThecompositionofaportfoliodependsonthegoalsoftheinvestortherisksinvolvedtaxesthatwillbeimposedonanygainKnowledgeoftheavailableinvestmentopportunities55IntroductiontoPortfolioConstructionThecompositionofaportfoliodependsonthegoalsoftheinvestortherisksinvolvedtaxesthatwillbeimposedonanygainKnowledgeoftheavailableinvestmentopportunities56TheGoalsoftheInvestorFundstomeetemergenciesFundstofinanceeducationexpensesFundstomakeaspecifiedpurchase(e.g.,ahome)FundsforretirementIndividualInvestorLifeCycleNetWorth－assetminusdebtAgeAccumulationPhaseLong-term: Retirement Children’scollege Short-term: House CarConsolidationPhaseLong-term: RetirementShort-term:VacationsChildren’sCollegeSpendingPhaseGiftingPhaseLong-term: EstatePlanningShort-term: LifestyleNeedsGifts

Mayo/BasicInvestments,1e58FinancialGoals?Futurereturns/benefits/gains?Incomedividend,interest…Cash,shares…CapitalgainsTheamountofprofitrealizedwhenanassetsoldatapricehigherthanthepurchaseprice.Mayo/BasicInvestments,1e59Howtoachieveyourfinancialgoal?ValueandvaluationValue:Valuation:RateofreturnTheearningsorprofitonmoneywelendorinvestexpressedasapercentageoftheamountofmoneyloanedorinvested;Differentwaytoevaluateyourrateofreturn?60IntroductiontoPortfolioConstructionThecompositionofaportfoliodependsonthegoalsoftheinvestor

therisksinvolvedtaxesthatwillbeimposedonanygainKnowledgeoftheavailableinvestmentopportunities61Exhibit1.1TheSourcesofRiskDefinitionDiversifiableriskTheriskassociatedwiththespecificassetandisreducedthroughtheconstructionofadiversifiedportfolio.NondiversifiableRiskTheriskassociatedwith(1)fluctuatingsecuritypricesingeneral(2)fluctuatinginterestrates(3)reinvestmentrates(4)thelossofpurchasingpowerthroughinflation(5)lossfromchangesinthevalueofexchangerates.Theyarenotaffectedbytheconstructionofadiversifiedportfolio.A.NondiversifiableRisk12345FluctuatingsecuritypricesingeneralFluctuatinginterestratesReinvestmentsratesThelossofpurchasingpowerThelossfromchangesinthevalueofexchangerates1-Fluctuatingsecuritypricesingeneral

Assetreturnstendtomovetogether.GeneralsecuritypricesAspecificsecurityGeneralsecuritypricesAspecificsecurity2-Fluctuatinginterestrates

Asystematicnegativerelationshipexistsbetweenthepricesoffixed-incomesecuritiesandchangesininterestrates.InterestratesPricesoffixed-incomesecurities

Thesamerelationshipexistsbetweencommonstockandinterestrates.reasonsFuturecashflowsfromcommonstocksarebeingdiscountedathigherrates,sotheirpresentvaluesarelower.Themovementfromstocktohigher-payingdebtinstrumentstendstodepressstockprices.SubstituteeffectDDM的總公式及評價公式特點：只包含股利這一個因素。DMM最重要的性質：任意一期的預期收益率都等于市場資本報酬率k。3-ReinvestmentsratesWhenreinvestmentrateschange,theamountreceivedonthesereinvestedfundsalsochanges.

early1980s-relativelyhighinterestrates-highreinvestedyields2000s-lowestinterestrates—earnedlossonreinvestedfunds

2examples4-Thelossofpurchasingpower

Investorsmustalsoendurethelossofpurchasingpowerthroughinflation.

Risingpricesofgoods&servicesReducingpurchasingpowerDecliningincomeandassetvaluesInvestorsshouldearnareturnthatexceedstherateofinflation.5-Thelossfromchangesinthevalueofexchangerates

Ifinvestorsacquireforeigninvestments,theproceedsofthesaleoftheforeignassetmustbeconvertedfromtheforeigncurrencyintothedomesticcurrencybeforetheymaybespent.ValueofforeigncurrencyValueofforeigninvestment(inhomecurrency)DomesticinvestorgainsYoucanavoidexchange-rateriskbynotacquiringforeignassets.Otherrisks—politicalrisksB.DiversifiableRisk

SourcesofunsystematicriskBusinessriskFinancialrisk1-businessrisk

definitionThenatureofthefirm’soperations.e.g.forairlines—costoffuel,legalandregulatoryenvironment,capacityofplanes,seasonalchangesindemand…2-financialrisk

definitionHowthefirmfinancesitsassets.Whetherthefirmusesasubstantialormodestamountofdebtfinancing.(choicesamongissuingbonds,preferredstock,commonstock,leasing,borrowing…)Attention:Unsystematicriskappliestoallclassesofinvestments.Youcannotanticipatealltheeventsthatwillaffectaparticularfirmorgovernment.ExampleofamunicipalsecuritiesBusinessrisk:Thesafetyprotectionorordermaintenance;Financialrisk:Taxes(relyingonpropertytaxesorincometaxes);DecliningpropertyvaluesIncreasingunemployment

DiversificationDiversifiedindustriesDiversifiedassetsC.TotalRiskThecombinationofsystematicandunsystematicriskisdefinedasthetotalriskorportfoliorisk.Unsystematicriskmaybesignificantlyreducedthroughdiversification.Topurchasethesecuritiesoffirmsofdifferentindustries.Mayo/BasicInvestments,1e81RiskToleranceRisk:Thepossibilitythataninvestmentwillnotproducethereturnweexpectorthatwewillactuallylosemoney.Differentrisktolerance:Risk-taker(speculator)Risk-avoidance(conservatives)In-the-middleRiskversusSpeculationMayo/BasicInvestments,1e82CharacteristicsMorerisksRiskscouldbeexpectedFunctionsTakerisksBalancepricesActivatemarketsSpeculationFormoreprofitsBasedoninformationcollectionandanalysisMoreprofessional

HarmonizedifferentmarketsorproductsMayo/BasicInvestments,1e83交易目的不同股票投資者在本金安全的基礎上獲得長期穩定的股息收入；投機者期望在短期的價格漲跌中取得資本所得。持有時間不同投資者一般持有股票時間都在一年以上；投機者可能只有幾月、幾周，甚至幾天、幾小時。風險傾向不同交易方式不同決策依據不同投資者的準則是“安全第一”，寧可少一點收益也不愿承擔過大的風險；投機者多以“收益第一”作為投資準則，為了可觀的收益，寧愿冒很大的風險。投資者買賣股票的同時進行貨幣收付；用于投機的資金多從他人處借得，主要是買空和賣空，并不伴隨實際的交割行為。投資行為的做出基于對股票發行公司的分析考察；投機行為側重于對市場行情短期變化的預測。投機與投資的區別84IntroductiontoPortfolioConstructionThecompositionofaportfoliodependsonthegoalsoftheinvestortherisksinvolvedtaxesthatwillbeimposedonanygainKnowledgeoftheavailableinvestmentopportunitiesMayo/BasicInvestments,1e85TaxationTaxationSpendingofaninvestment;Differentforms;Governmentearnings;OtherformsofinvestmentcostThecompositionofaportfoliodependsonthegoalsoftheinvestortherisksinvolvedtaxesthatwillbeimposedonanygainKnowledgeoftheavailableinvestmentopportunities86IntroductiontoPortfolioConstructionLearnmoreaboutthefinancialproductsinthemarkets.UnderstandyourselfYourmoneyandotherresourcesthatcanbeinvested.Howmuchriskcanyoutake?YourinvestmentgoalsBuildupyourowninvestmentphylosophyKnowledgeoftheAvailable

InvestmentOpportunities

Mayo/BasicInvestments,1e88Wheredoweinvest?FinancialMarkets:PrimarymarketsorSecondarymarketsSecuritymarkets,goldmarkets,foreignexchangemarkets,moneymarkets,bankborrowingandlendingmarkets,insurancemarket….DefinitionofTheEfficientMarketHypothesisEMHAtheorythatsecuritypricescorrectlymeasurethefirm’sfutureearningsanddividendsandthatinvestorsshouldnotconsistentlyoutperformthemarketonarisk-adjustedbasis.ShouldoccasionallyoutperformOveranextendedperiodoftimeAssumptionsTherearealargenumberofcompetingparticipantsinthesecuritiesmarket.Informationisreadilyavailableandvirtuallycostlesstoobtain.Transactioncostsaresmall.SecuritiesMarketsHighlycompetitive;Informationisreadilyavailable;Minimaltransactioncosts;StockPrices

TheEMHarguesthatsecuritypricesadjustrapidlytonewinformationandmustreflectallknowinformationconcerningthefirm.Followinarandomwalkovertime.UnpredictablepricechangesRandomWalkNotsuitabletodescribethepatternofchangesinsecuritypricesdueto:Overaperiodoftime,stockpriceswillriskasfirmsandtheeconomygrow.Itisthechangesinsecuritypricesthatarerandom.AllknowninformationThenewinformationrandomSpeedofPriceAdjustmentDisseminatenewinformationStockpricesadjustimmediatelyInvestorsthenknowitNoprofitfromactingontheinformationFormsoftheEMHTheweakformFormsoftheEMHSemistrongformStrongformMayo/BasicInvestments,1e96弱式有

效市場證券價格充分反映了歷史上一系列交易價格和交易量中所隱含的信息，從而投資者不可能通過對以往的價格進行分析而獲得超額利潤。證券當前價格完全反映所有公開信息，不僅包括證券價格序列信息，還包括有關公司價值的信息、有關宏觀經濟形勢和政策方面的信息。證券價格總是能及時、充分地反映所有相關信息，包括所有公開的信息和內幕信息。半強式

有效市場強式有

效市場有效市場分類TheWeakFormThehistoricalinformationconcerningthefirmshasalreadyreflectedinthestockprice.Fundamentalanalysisdoeswork;Technicalanalysiswillnot.TheSemi-strongFormAllthepublic’sinformationconcerningthefirmshasalreadyreflectedinthestockprice.Boththe

FundamentalandTechnicalanalysisdonotwork.TheStrongFormAllknown,allprivilegedorinsideinformationconcerningthefirmshasalreadyreflectedinthestockprice.Nobodywillachievesuperiorresults.ImplicationsoftheEMH

TheEMHbringstoyourattentiontheenvironmentinwhichyoumakefinancialdecisions.

Itsuggeststhatyouwillnotconsistentlymakeinvestmentsthatproducesupe